| 中国资本市场的中长期动量效应和反转效应——基于Fama和French三因素模型的进一步研究 |
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| 引用本文： | 杜兴强,聂志萍.中国资本市场的中长期动量效应和反转效应——基于Fama和French三因素模型的进一步研究[J].山西财经大学学报,2007,29(12):16-23. |
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| 作者姓名： | 杜兴强 聂志萍 |
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| 作者单位： | 厦门大学,管理学院,福建,厦门,361005 |
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| 基金项目： | 国家社会科学基金;教育部首届新世纪优秀人才计划 |
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| 摘 要： | 基于国内外学者对于中国股票市场的动量效应和反转效应的研究,利用1994~2004年中国股票市场的经验数据,借助于Fama和French的三因素模型,对中国股市的动量和反转效应进行解释。研究结果表明,Fama和French三因素模型的解释力度不大。
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| 关 键 词： | 动量效应 反转效应 交易成本 Fama和French三因素模型 |
| 文章编号： | 1007-9556（2007）12-0016-08 |
| 收稿时间： | 2007-10-26 |
| 修稿时间： | 2007年10月26 |
Medium-term and Long-term Momentum and Contrarian Effects on Chinese Capital Markets——A Further Empirical Study Based on Fama and French Model |
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| DU Xing-qiang,NIE Zhi-ping.Medium-term and Long-term Momentum and Contrarian Effects on Chinese Capital Markets——A Further Empirical Study Based on Fama and French Model[J].Journal of Shanxi Finance and Economics University,2007,29(12):16-23. |
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| Authors: | DU Xing-qiang NIE Zhi-ping |
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| Abstract: | The authors examine prior research results on momentum and contrarian effects in Chinese stock market,and adopt Fama and French Model based on empirical data during 1994-2004 to explain medium-term and long-term momentum effects and contrarian effects.The research results show that Fama and French Model provides little explain ability. |
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| Keywords: | momentum effect contrarian effects transaction costs Fama and French Model |
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